[R] bayesm, rmnlIndepMetrop

From: Tetyana Stepanchuk <stepanchuk_at_wiwi.uni-frankfurt.de>
Date: Wed 08 Feb 2006 - 19:49:27 EST


Hi,

I tried to use rmnlIndepMetrop (bayesm package) for my MNL model with 4 choice alternatives, 5 independent variables, 69 observations,

dim(X) [1] 276 5, nu=6. So I run such code:  

if(nchar(Sys.getenv("LONG_TEST")) != 0) {R=2000} else {R=10}

set.seed(66)

df=read.table("X_metrop.dat",header=TRUE)

inp=as.matrix(df)

y=as.numeric(inp[,1])

n=length(y)

p=4

nvar=ncol(X)

X=cbind(1,inp[,2:5])

XTXI=chol2inv(chol(crossprod(X)))

bhat=XTXI%*%t(X)%*%y

#create X matrix with dim nobs*p x nvar

index=1:n

index2=rep(index,p)

index3=sort(index2)

X=X[index3,]

beta=array(bhat,dim=c(nvar))

A=diag(c(rep(.01,length(beta))));

betabar=rep(0,length(beta))

Data=list(y=y,X=X,p=p);

Mcmc=list(R=R,keep=1) ;

Prior=list(A=A,betabar=betabar)

out=rmnlIndepMetrop(Data=Data,Prior=Prior,Mcmc=Mcmc)  

Ouput:

Starting Independence Metropolis Sampler for Multinomial Logit Model

  with 4 alternatives  

Prior Parms:

betabar

[1] 0 0 0 0 0

A

     [,1] [,2] [,3] [,4] [,5]

[1,] 0.01 0.00 0.00 0.00 0.00

[2,] 0.00 0.01 0.00 0.00 0.00

[3,] 0.00 0.00 0.01 0.00 0.00

[4,] 0.00 0.00 0.00 0.01 0.00

[5,] 0.00 0.00 0.00 0.00 0.01
 

MCMC parms:

R= 10 keep= 1 nu (df for st candidates) = 6

Mistake in chol(mhess) : the leading Minor of the order 1 is not positive defined  

By debugging: debug(rmnlIndepMetrop)

rmnlIndepMetrop(Data=Data,Prior=Prior,Mcmc=Mcmc)

beta

[1] 1.46867390 -0.52889086 0.23710427 0.00188178 0.06021696

mhess=mnlHess(y,X,beta)

> mhess

       X0 X0.1 X0.2 X0.3

     0 0 0 0 0

X0 0 0 0 0 0

X0.1 0 0 0 0 0

X0.2 0 0 0 0 0

X0.3 0 0 0 0 0  

>chol(mhess)

Mistake in chol(mhess) : the leading Minor of the order 1 is not positive defined  

Is something wrong with my data? But I tried another dataset and got the same mistake.

Whether everybody knows how I could manage it?

I have no ideas anymore(.

Thank you in advance,

Tatjana  


Tetyana Stepanchuk

Department of Electronic Commerce

Johann Wolfgang Goethe-University

Mertonstrasse 17

D-60054, Frankfurt/Main

Germany

phone: +49 069 798 22380

http://www.ecommerce.wiwi.uni-frankfurt.de  

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